Cotter, John; Dowd, Kevin - In: Journal of Futures Markets 30 (2010) 7, pp. 689-703
This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value‐at‐Risk and Expected Shortfall. The SRMs are...